• Amendments to NYMEX Brent Crude Oil Futures and Option Contracts

      • To
      • Members, Member Firms and Market Users
      • From
      • Research and Product Development
      • #
      • SER-6887
      • Notice Date
      • 24 October 2013
      • Effective Date
      • 09 December 2013
    • The New York Mercantile Exchange, Inc. (“NYMEX” or “Exchange”) is amending the specifications of its Brent crude oil futures and options contracts. 
       
      NYMEX references the ICE Futures Europe Brent crude oil futures contract for settling related NYMEX Brent crude oil futures and option contracts. ICE has confirmed amendments to the specifications of its Brent crude oil futures contract to reflect changes to the underlying forward market on which the futures contract is based. The most impactful change establishes a month-ahead expiry calendar for the futures contract. 
       
      Since the Exchange references the ICE contract for settling related NYMEX Brent crude oil futures and option contracts, pending all relevant CFTC regulatory review periods, NYMEX will implement conforming amendments to all related contracts listed on NYMEX, effective for trade date Monday 9 December, 2013, based on pricing assessments made at the close of business on Friday 6 December, 2013. The conforming amendments will impact contracts that have, or that value, March 2016 and subsequent contract month expirations. The Exchange is implementing the conforming changes to maintain orderly trading and to accommodate market participants that trade in both ICE and NYMEX Brent markets. 
       
      Appendix A to this Special Executive Report lists the related NYMEX Brent crude oil futures and option contracts and the changes being made. Appendix B contains specific NYMEX Rulebook changes that will be effective on trade date Monday 9 December, 2013 in order to amend the timing of the last trading day for a limited number of NYMEX contracts.
       
      For additional information, please contact:
       
      Energy Products:
       
      Peter Keavey                Peter.Keavey@cmegroup.com                  +1 212 299 2365
      Verena Peternel            Verena.Peternell@cmegroup.com              +44 20 3379 3723
       
      Research & Product Development:
       
      Daniel Brusstar             Daniel.Brusstar@cmegroup.com                +1 212 299 2604
      Richard Stevens           Richard.Stevens@cmegroup.com              +44 20 3379 3790
       
      Clearing:
       
      Anthony Zangrilli           Anthony.Zangrilli@cmegroup.com             +1 312 930 3356
       
       
       
       
       


      APPENDIX A
       
      Amendments to NYMEX Brent Crude Oil Futures and Option Contracts
       
      Summary
       
      The New York Mercantile Exchange, Inc. (“NYMEX” or “Exchange”) has been advised that ICE Futures Europe has confirmed changes to the specifications of its Brent crude oil futures contract. The most impactful change establishes a month-ahead expiry calendar for the futures contract. Since NYMEX references to the ICE contract for settling NYMEX Brent crude oil futures and option contracts, NYMEX will make conforming amendments to all related NYMEX contracts, effective on trade date Monday 9 December, 2013.
       
      Amendments to NYMEX contract specifications vary depending on the particular NYMEX Brent contract. Amendments may include a revision of the contract’s last trading day, a revision of the nature of the contract’s underlying reference price, or both. These amendments will likely result in a change to the valuation of each position. Pursuant to criteria outlined below, the Exchange intends to determine the impact on contract valuation on Friday 6 December, 2013. Holders of long and short positions will be required to make or take additional payments in order to neutralize the economic impact of the contract amendments. These additional payments will be processed on Monday 9 December, 2013.
       
      Parts A through D below list the relevant NYMEX Brent crude oil futures and option contracts and describe the related amendments.
       
      Part A – NYMEX Futures Contracts with an Amended Last Trading Day
       
      The NYMEX contracts listed immediately below directly reference the ICE contract and have a specific single day expiry which mirrors the ICE expiry (or a penultimate expiry to it). Since ICE has changed that single reference point, the NYMEX contracts listed below will have amended expiries which mirror the ICE expiry (or a penultimate expiry to it). 
       
      These changes affect the following NYMEX contracts:
       

      NYMEX Contract Name
      Contract Code
      NYMEX Rule Chapter
      Brent Crude Oil Penultimate Financial Futures
      BB
      692
      WTI-Brent Bullet Futures
      BY
      693
      Brent Crude Oil Last Day Financial Futures
      BZ
      698
      Micro Brent Crude Oil Penultimate Financial Futures
      MBZ
      1117

       
      Effective on trade date Monday 9 December, 2013, contract months starting with and including March 2016 will have amended last trading day rules as follows:
       
      For contract BZ, the last trading day will be the last UK business day of the second month preceding the contract month, except for the business day preceding New Year’s Day, where trading shall cease on the second UK business day preceding New Year’s Day.
       
      For contracts BB, BY and MBZ, the last trading day will be the business day preceding the last UK business day of the second month preceding the contract month, except for the business day preceding New Year’s Day, where trading shall cease on the third UK business day preceding New Year’s Day.
       
      With regard to the NYMEX contracts listed above, contract valuations will be revised on the evening of Friday 6 December, 2013 by assessing the average December-December spread settlement price valuations for the ICE contract during the period Monday 2 December, 2013 to Friday 6 December, 2013 inclusive. The revision to the valuation of a specific contract will be based on the average spread of the preceding December contract and the following December contract. In the case of December contracts revisions will be based on the average spread of the preceding December contract and the December contract in question. Contract valuations will be revised by an amount equal to the relevant December-December spread divided by 48.
       
      With a forward market trading in backwardation, as is currently the case, the contract amendments will result in an increase in the valuation of the affected contracts months of the outright futures BB, BZ and MBZ, and a decrease in the valuation of the spread contract BY.
       
      In the event a contract month is revalued higher, holders of long positions will be required to make an additional payment to the CME Clearing House to neutralize the value change; holders of short positions will receive an additional payment from the CME Clearing House. In the event a contract month is revalued lower, holders of short positions will be required to make an additional payment to the CME Clearing House to neutralize the value change; holders of long positions will receive an additional payment from the CME Clearing House.
       
      Part B – NYMEX Futures Contracts with No Change to Last Trading Day
       
      The NYMEX contracts listed immediately below represent a full calendar month exposure to Brent crude oil prices. The contracts reference the first listed delivery month of the Brent crude oil futures contract over the calendar month (except on the last trading day of the first listed month, when the second listed month will be referenced). The last trading day for these contracts will remain unchanged as the last business day of the contract month. Due to the change in the last trading day of the reference underlying Brent futures contracts, each of these calendar month contracts will reference a different mix of underlying contract months, starting with the January 2016 contract month. The number of reference days for each underlying contract month will also change.
       
      These changes affect the following NYMEX contracts:
       

      NYMEX Contract Name
      Contract Code
      NYMEX Rule Chapter
      Brent Financial Futures
      CY
      696
      Dated Brent (Platts) to Frontline Brent Futures
      FY
      695
      WTI-Brent Financial Futures
      BK
      694
      ICE Brent (Singapore Marker) vs. DME Oman Crude Oil Swap Futures
      BSG
      123
      ICE Brent vs. DME Oman Crude Oil Swap Futures
      DBO
      126
      Brent Crude Oil vs. Dubai Crude Oil (Platts) Futures
      DB
      697
      Brent (Euro Denominated) Financial Futures
      IBE
      1055
      Brent (Singapore Marker) Futures
      IBS
      1122
      Singapore Mogas 92 Unleaded (Platts) Brent Crack Spread Futures
      1NB
      1085
      Gasoline Euro-bob Oxy NWE Barges (Argus) Crack Spread Futures
      7K
      732
      3.5% Fuel Oil Barges FOB Rdam (Platts) Crack Spread (1000mt) Futures
      BOB
      141
      European Naphtha (Platts) Crack Spread Futures
      EN
      713
      Argus Gasoline Eurobob Oxy Barges NWE Crack Spread (1000mt) Futures
      EOB
      146
      1% Fuel Oil Cargoes FOB NWE (Platts) Crack Spread Futures
      FI
      727
      3.5% Fuel Oil Cargoes FOB MED (Platts) Crack Spread Futures
      FL
      735
      3.5% Fuel Oil Barges FOB Rdam (Platts) Crack Spread Futures
      FO
      726
      1.0% Fuel Oil Cargoes FOB NWE (Platts) Crack Spread (1000mt) Futures
      FVB
      142
      Gulf Coast No.6 Fuel Oil 3.0% (Platts) Brent Crack Spread Futures
      GCI
      1098
      Gasoil 0.1% Cargoes CIF NWE (Platts) Crack Spread (1000mt) Futures
      GEB
      145
      Gasoline 10 ppm FOB MED (Platts) Crack Spread Futures
      GKS
      1198
      Gasoil 0.1% Barges FOB Rdam (Platts) Crack Spread (1000mt) Futures
      GOB
      144
      Gasoil 50 ppm Barges FOB Rdam (Platts) Crack Spread (1000mt) Futures
      GRC
      998
      NY Harbor ULSD Brent Crack Spread Futures
      HOB
      1097
      Japan C&F Naphtha (Platts) Brent Crack Spread Futures
      JB
      580
      Low Sulphur Gasoil Crack Spread Financial Futures
      LSC
      363
      Naphtha Cargoes CIF NWE (Platts) Crack Spread (1000mt) Futures
      NOB
      148
      RBOB Gasoline Brent Crack Spread Futures
      RBB
      1096
      Singapore Fuel Oil 180 cst (Platts) 6.35 Brent Crack Spread Futures
      STR
      1093
      Brent Crude Oil Variance (Quarterly) Futures
      VBQ
      1231
      Brent Crude Oil Variance (Semi-Annual) Futures
      VBS
      1231
      Brent Crude Oil Variance (Annual) Futures
      VBY
      1231

       
       
      With regard to the NYMEX contracts listed immediately above, contract valuations will be revised on the evening of Friday 6 December, 2013 to reflect the amended mix of underlying reference months for Brent crude oil, and the revised prices for these underlying reference months.
       
      In the event a contract month is revalued higher, holders of long positions will be required to make an additional payment to the CME Clearing House to neutralize the value change; holders of short positions will receive an additional payment from the CME Clearing House. In the event a contract month is revalued lower, holders of short positions will be required to make an additional payment to the CME Clearing House to neutralize the value change; holders of long positions will receive an additional payment from the CME Clearing House.
       
      Part C – Option Contracts with an Amended Last Trading Day
       
      The NYMEX contracts listed immediately below are option contracts which reference NYMEX futures contracts described in Part A above. The last trading day for these option contracts will be amended to coincide with their respective underlying futures contact.
       
      These changes affect the following NYMEX contracts:
       

      Contract Name
      Contract Code
      NYMEX Rule Chapter
      Brent Crude Oil Option
      OS
      376
      Brent Crude Oil European Financial Option
      BE
      378
      WTI-Brent Crude Oil Spread Option
      BV
      377
      Brent Calendar Spread Option (One Month)
      AA
      394
      Brent Calendar Spread Option (Two Month)
      AB
      394
      Brent Calendar Spread Option (Three Month)
      AC
      394
      Brent Calendar Spread Option (Six Month)
      AM
      394
      Brent Calendar Spread Option (Twelve Month)
      AZ
      394
      Brent Crude Oil Last Day Financial Calendar Spread Option (One Month)
      9C
      398
      Brent Crude Oil Last Day Financial Calendar Spread Option (Two Month)
      9B
      398
      Brent Crude Oil Last Day Financial Calendar Spread Option (Three Month)
      9D
      398
      Brent Crude Oil Last Day Financial Calendar Spread Option (Six Month)
      9L
      398
      Brent Crude Oil Last Day Financial Calendar Spread Option (Twelve Month)
      9Y
      398

       
      Effective on trade date Monday 9 December, 2013, contract months starting with and including March 2016 will have amended last trading days. The last trading day for each of these contracts is set in relation to the underlying futures contract month. The timing of the last trading day relative to the underlying futures contract month will not change, but as the last trading day for the underlying contract month will be amended, the last trading day for the options contracts will be amended accordingly. No amendments will be made to option strike prices.
       
      With regard to the NYMEX contracts listed immediately above, contract valuations will be revised on the evening of Friday 6 December, 2013 using the Exchange’s options pricing models. Option contract valuations will be assessed first using the pre-amendment last trading day and underlying price, and again using the post-amendment last trading day and underlying price. The difference in the option valuations in each of these scenarios will be the effective revision in the value of the option.
       
      In the event an option contract is revalued higher, holders of long positions will be required to make an additional payment to the CME Clearing House to neutralize the value change; holders of short positions will receive an additional payment from the CME Clearing House. In the event an option contract is revalued lower, holders of short positions will be required to make an additional payment to the CME Clearing House to neutralize the value change; holders of long positions will receive an additional payment from the CME Clearing House.
       
      Part D – NYMEX Option Contracts with No Change to Last Trading Day
       
      The NYMEX contracts listed immediately below are option contracts which have an underlying futures reference which represents a full calendar month exposure to Brent crude oil prices. The last trading day for these option contracts will remain unchanged, but the underlying futures contract months will have a revised valuation. No amendments will be made to option strike prices.
       
      These changes affect the following NYMEX contracts:
       

      NYMEX Contract Name
      Contract Code
      NYMEX Rule Chapter
      Brent Crude Oil Average Price Option
      BA
      379
      European Gasoil Brent Crack Spread Average Price Option
      3U
      710A
      Brent Option on Quarterly Futures Strip
      BQP
      827
      Brent Option on Calendar Futures Strip
      BPC
      826

       
       
      With regard to the NYMEX contracts listed immediately above, contract valuations will be revised on the evening of Friday 6 December, 2013 using the Exchange’s options pricing models. Option contract valuations will be assessed first using the pre-amendment underlying price, and again using the post-amendment underlying price. The difference in the option valuations in each of these scenarios will be the effective revision in the value of the option.
       
      In the event an option contract is revalued higher, holders of long positions will be required to make an additional payment to the CME Clearing House to neutralize the value change; holders of short positions will receive an additional payment from the CME Clearing House. In the event an option contract is revalued lower, holders of short positions will be required to make an additional payment to the CME Clearing House to neutralize the value change; holders of long positions will receive an additional payment from the CME Clearing House.
       
      Part E – NYMEX Contracts Not Affected by the Changes
       
      The terms and conditions of the following NYMEX contracts with an exposure to the ICE contract price will not be directly affected by the change.
       

      NYMEX Contract Name
      Contract Code
      NYMEX Rule Chapter
      Brent Crude Oil BALMO Futures
      J9
      481
      Dated Brent (Platts) to Frontline Brent BALMO Futures
      FE
      831
      European Naphtha (Platts) Crack Spread BALMO Futures
      43
      636
      Gasoline Euro-bob Oxy NWE Barges (Argus) Crack Spread BALMO Futures
      7I
      733
      Argus Gasoline Eurobob Oxy Barges NWE Crack Spread (1000mt) BALMO Futures
      AES
      147
      3.5% Fuel Oil Barges FOB Rdam (Platts) Crack Spread BALMO Futures
      FCB
      1204
      3.5% Fuel Oil Cargoes FOB MED (Platts) Crack Spread BALMO Futures
      FOA
      1205
      Naphtha Cargoes CIF NWE (Platts) Crack Spread (1000mt) BALMO Futures
      NBB
      149
      Daily Brent Crude Oil Option
      ODB
      870
      Singapore Fuel Oil 180 cst (Platts) Brent Crack Spread Futures
      SFC
      213
      Gasoil Crack Spread (1000mt) Financial Futures
      GOC
      143
      European Gasoil Brent Crack Spread Futures
      GZ
      710

       
       
       
       


      APPENDIX B
       
      NYMEX Rulebook Amendments
       
      The following amendments will be effective on Monday 9 December, 2013. Additions are shown in bold underline, deletions are shown in strikethrough.
       
      Chapter 692
      Brent Crude Oil Penultimate Financial Futures
      692.06.        TERMINATION OF TRADING
                         Trading shall cease one business day prior to the termination date of the Brent Crude Oil Last Day Penultimate Financial Futures contract for the delivery month.
       
      Chapter 693
      WTI-Brent Bullet Futures
      693.06.        TERMINATION OF TRADING
                         Trading shall end one business day prior to the termination of the Brent Crude Oil Penultimate Financial Futures contract. 
      Therefore, for contract months up to and including February 2016, trading shall cease, i.e., two business days before the fifteenth calendar day prior to the first day of the delivery month, if the fifteenth calendar day is not a holiday or weekend in London. If the fifteenth calendar day is a holiday or weekend in London, trading shall end three business days prior to the last business day preceding the fifteenth calendar day. For contract months March 2016 and onwards, trading shall cease on the UK business day preceding the last UK business day of the second month preceding the contract month, except for the UK business day preceding New Year’s Day, where trading shall cease on the third UK business day preceding New Year’s Day.
       
      Chapter 698
      Brent Crude Oil Last Day Financial Futures
      698.06.        TERMINATION OF TRADING
      Trading shall cease on the same termination day as the ICE Brent (ICE) Crude Oil Futures for thedelivery month. 
      Therefore, for contract months up to and including February 2016, trading shall cease, i.e., on the business day immediately preceding the 15th day prior to the first day ofthe delivery month, if such 15th day is a banking day in London. If the 15th day is a non-bankingday in London (including Saturday), trading shall cease on the business day immediately precedingthe first business day prior to the 15th day. For contract months March 2016 and onwards, trading shall cease on the last UK business day of the second month preceding the contract month, except for the UK business day preceding New Year’s Day, where trading shall cease on the second UK business day preceding New Year’s Day.
       
      Chapter 1117
      Micro Brent Crude Oil Penultimate Financial Futures
      1117102.      TRADING SPECIFICATIONS
                         1117102.E. Termination of Trading
                         Trading shall cease one business day prior to the termination of the ICE Brent Crude Oil Futures contract. 
      Therefore, for contract months up to and including February 2016, trading shall cease, i.e., two business days before the fifteenth calendar day prior to the first day of the contract month, if the fifteenth calendar day is not a holiday or weekend in London. If the fifteenth calendar day is a holiday or weekend in London, trading shall end three business days prior to the last business day preceding the fifteenth calendar day.   For contract months March 2016 and onwards, trading shall cease on the UK business day preceding the last UK business day of the second month preceding the contract month, except for the UK business day preceding New Year’s Day, where trading shall cease on the third UK business day preceding New Year’s Day.

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